RiskMetrics Technical Document

By Umberto Cherubini. 2015

356 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/2d174c122dce747449d1cd796bd319e838d7468e

Citations in the corpus

• EVALUATING INTERVAL FORECASTS (2016, unknown): “FIGURE 5 JAPANESE YEN: LIKELIHOOD RATIO STATISTICS OF CONDITIONAL COVERAGE, UNCONDITIONAL COVERAGE, AND INDEPENDENCE Notes: The top panel shows the LR statistics of conditional coverage for three interval forecasts: The long dash is J.P. Morgan's exponential RiskMetrics forecast, the solid line is t”